Charting

// Load the assembly files and data types in their own cell.
#load "../Initialize.csx"

// Load the necessary assembly files.
#load "../QuantConnect.csx"
#r "../Plotly.NET.dll"
#r "../Plotly.NET.Interactive.dll"

// Import the QuantConnect, Plotly.NET, and Accord packages for calculation and plotting.
using QuantConnect;
using QuantConnect.Research;
            
using Plotly.NET;
using Plotly.NET.Interactive;
using Plotly.NET.LayoutObjects;
            
using Accord.Math;
using Accord.Statistics;

var qb = new QuantBook();
var tickers = new[] 
{
    "XLF",  // Financial Select Sector SPDR Fund
    "COF",  // Capital One Financial Corporation
    "GS",   // Goldman Sachs Group, Inc.
    "JPM",  // J P Morgan Chase & Co
    "WFC"   // Wells Fargo & Company   
};
var symbols = tickers.Select(ticker => qb.AddEquity(ticker, Resolution.Daily).Symbol);
var history = qb.History(symbols, new DateTime(2021, 1, 1), new DateTime(2022, 1, 1));

// Select a symbol to plot its candlestick plot.
var symbol = symbols.First();

// Call the Chart2D.Chart.Candlestick constructor with the time and open, high, low, and close price IEnumerable to create the candlestick plot.
var bars = history.Select(slice => slice.Bars[symbol]);
var chart = Chart2D.Chart.Candlestick<decimal, decimal, decimal, decimal, DateTime, string>(
    bars.Select(x => x.Open),
    bars.Select(x => x.High),
    bars.Select(x => x.Low),
    bars.Select(x => x.Close),
    bars.Select(x => x.EndTime)
);

// Call the Layout constructor and set the title, xaxis, and yaxis properties as the title and axes label objects to create the plot layout.
LinearAxis xAxis = new LinearAxis();
xAxis.SetValue("title", "Time");
LinearAxis yAxis = new LinearAxis();
yAxis.SetValue("title", "Price ($)");
Title title = Title.init($"{symbol} OHLC");

Layout layout = new Layout();
layout.SetValue("xaxis", xAxis);
layout.SetValue("yaxis", yAxis);
layout.SetValue("title", title);

// Assign the Layout to the chart.
chart.WithLayout(layout);

// Show the plot.
HTML(GenericChart.toChartHTML(chart));

// Select a symbol to plot its volume as line chart.
var symbol = symbols.First();

// Call the Chart2D.Chart.Line constructor with the timestamps and volumes to create the line chart.
var bars = history.Select(slice => slice.Bars[symbol]);
var chart = Chart2D.Chart.Line<DateTime, decimal, string>(
    bars.Select(x => x.EndTime),
    bars.Select(x => x.Volume)
);

// Create a Layout for the plot setting.
LinearAxis xAxis = new LinearAxis();
xAxis.SetValue("title", "Time");
LinearAxis yAxis = new LinearAxis();
yAxis.SetValue("title", "Volume");
Title title = Title.init($"{symbol} Volume");

Layout layout = new Layout();
layout.SetValue("xaxis", xAxis);
layout.SetValue("yaxis", yAxis);
layout.SetValue("title", title);

// Assign the Layout to the chart.
chart.WithLayout(layout);

// Show the plot.
HTML(GenericChart.toChartHTML(chart));

// Select 2 symbols to plot their price correlation.
var symbol1 = symbols.First();
var symbol2 = symbols.Last();

// Call the Chart2D.Chart.Point constructor with the closing prices of both securities to create the scatter plot.
var chart = Chart2D.Chart.Point<decimal, decimal, string>(
    history.Select(slice => slice.Bars[symbol1].Close),
    history.Select(slice => slice.Bars[symbol2].Close)
);

// Create a Layout as the plot setting.
LinearAxis xAxis = new LinearAxis();
xAxis.SetValue("title", $"{symbol1} Price ($)");
LinearAxis yAxis = new LinearAxis();
yAxis.SetValue("title", $"{symbol2} Price ($)");
Title title = Title.init($"{symbol1} vs {symbol2}");

Layout layout = new Layout();
layout.SetValue("xaxis", xAxis);
layout.SetValue("yaxis", yAxis);
layout.SetValue("title", title);

// Assign the Layout to the chart.
chart.WithLayout(layout);

// Show the plot.
HTML(GenericChart.toChartHTML(chart));

// Compute the daily returns of the stocks to calculate the correlation later.
var data = history.SelectMany(x => x.Bars.Values)
    .GroupBy(x => x.Symbol)
    .Select(x =>
    {
        var prices = x.Select(x => (double)x.Close).ToArray();
        return Enumerable.Range(0, prices.Length - 1)
            .Select(i => prices[i+1] / prices[i] - 1).ToArray();
    }).ToArray().Transpose();

// Call the Measures.Correlation method to calculate the correlation matrix for plotting.
var corrMatrix = Measures.Correlation(data).Select(x => x.ToList()).ToList();

// Call the Plotly.NET.Chart2D.Chart.Heatmap constructor with the correlation matrix to plot the heat map.
var X = Enumerable.Range(0, tickers.Length).ToList();

var heatmap = Plotly.NET.Chart2D.Chart.Heatmap<IEnumerable<double>, double, int, int, string>( 
    zData: corr,
    X: X,
    Y: X,
    ShowScale: true,
    ReverseYAxis: true
);

// Create a Layout as the plot settings.
var axis = new LinearAxis();
axis.SetValue("tickvals", X);
axis.SetValue("ticktext", tickers);
            
var layout = new Layout();
layout.SetValue("xaxis", axis);
layout.SetValue("yaxis", axis);
layout.SetValue("title", Title.init("Banking Stocks and bank sector ETF Correlation Heat Map"));

// Assign the Layout to the chart.
heatmap.WithLayout(layout);

// Show the plot.
HTML(GenericChart.toChartHTML(heatmap))

// Select three Symbol objects to plot with.
var symbolList = symbols.ToList();
var symbol1 = symbolList[0];
var symbol2 = symbolList[1];
var symbol3 = symbolList[2];

// Call the Chart3D.Chart.Point3D constructor with the closing price series of each securities to create the 3D scatter plot.
var chart = Chart3D.Chart.Point3D<decimal, decimal, decimal, string>(
    history.Select(slice => slice.Bars[symbol1].Close),
    history.Select(slice => slice.Bars[symbol2].Close),
    history.Select(slice => slice.Bars[symbol3].Close)
);

// Create a Layout to add title and axis labels as the plot settings.
LinearAxis xAxis = new LinearAxis();
xAxis.SetValue("title", $"{symbol1} Price ($)");
LinearAxis yAxis = new LinearAxis();
yAxis.SetValue("title", $"{symbol2} Price ($)");
LinearAxis zAxis = new LinearAxis();
zAxis.SetValue("title", $"{symbol3} Price ($)");
Title title = Title.init($"{symbol1} vs {symbol2} vs {symbol3}");

Layout layout = new Layout();
layout.SetValue("xaxis", xAxis);
layout.SetValue("yaxis", yAxis);
layout.SetValue("zaxis", zAxis);
layout.SetValue("title", title);

// Assign the Layout to the chart.
chart.WithLayout(layout);

// Show the plot.
HTML(GenericChart.toChartHTML(heatmap))